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Barclays plans CDs linked to Elkhorn DWA Tactical Tilt 5% Volatility
By Angela McDaniels
Tacoma, Wash., Feb. 8 – Barclays Bank Delaware plans to price 0% certificates of deposit due Feb. 24, 2023 linked to the Elkhorn DWA Tactical Tilt 5% Volatility Target index, according to a term sheet.
The payout at maturity will be par plus 150% of the index return, subject to a minimum payout of par.
The index provides notional exposure, on an excess-return basis, to the Elkhorn Tactical Tilt index (the “base index”) while targeting a volatility of 5%. The index also reflects on a daily basis the deduction of a notional financing cost equal to Libor and an index fee of 0.65% per annum.
The base index tracks a dynamic notional portfolio selected from a universe of 25 components, including exchange-traded funds, indexes, currency exchange rates and cash, that represent the six asset classes included in the base index universe: U.S. equity, international equity, fixed income, currency, commodity and cash. The components selected for inclusion in the base index at any time represent the asset classes that have demonstrated outperformance characteristics in the recent past, as determined using the proprietary “relative strength” methodology of Dorsey, Wright & Associates, LLC. In connection with each monthly rebalancing, the base index will allocate at least 40% of its weight to the fixed income asset class, while the remaining 60% of its weight will be allocated among two to five of the asset classes using an asset allocation strategy that incorporates their rankings under the relative strength methodology.
Barclays is the agent. Incapital LLC is distributor.
The CDs will price Feb. 19.
The Cusip number is 06740FDB1.
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